We introduce new general measures of dependence structures that remain invisible when only traditional analysis is employed. This line of research constitutes significant contribution since it opens new routes for measurement of dependence in economic variables [1].

Frequency domain techniques alows us to bring new methodology for quantifying common jumps in the currency markets and their impact of correlation structure. Using frequency domain techniques the proposed framework uniquely localizes jumps and co-jumps very precisely and its usefulness is demonstrated on the empirical behavior of the most liquid currency markets [2]. We also model and forecast exchange rate uncertainty using frequency domain techniques [3].

Papers:

1. Quantile coherency: A general measure for dependence between cyclical economic variables. J. Barunik, T. Kley. Econometrics Journal, 22(2), 2019, p. 131-152.
2. Do co-jumps impact correlations in currency markets? J. Barunik, L. Vacha. Journal of Financial Markets, 37(1), 2018, p. 97-119.
3. Modeling and forecasting exchange rate volatility in time-frequency domain. J. Barunik, T. Krehlik, L. Vacha. European Journal of Operational Research, 251(1), 2016, p. 329-340.